Local efficiency of a Cramer-von!Mises test of independence

JOURNAL OF MULTIVARIATE ANALYSIS

卷:97

Article

Genest, C ; Quessy, JF ; Rémillard, B

关键词: asymptotic relative efficiency;    contiguous alternatives;    empirical copula process;    linear rank statistics;   

DOI  :  10.1016/j.jmva.2005.03.003

来源: Elsevier

【 摘 要 】

Deheuvels proposed a rank test of independence based on a Cramer-von Mises functional of the empirical copula process. Using a general result on the asymptotic distribution of this process under sequences of contiguous alternatives, the local power curve of Deheuvels' test is computed in the bivariate case and compared to that of competing procedures based on linear rank statistics. The Gil-Pelaez inversion formula is used to make additional comparisons in terms of a natural extension of Pitman's measure of asymptotic relative efficiency. (c) 2005 Elsevier Inc. All rights reserved.

【 授权许可】

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